(FOFs). In this paper we examine a new database that separates out for the first time the effects of diversification (the … variance reducing effects of diversification peter out once FOFs hold more than 20 underlying hedge funds. Yet the majority of … FOFs are more diversified than this. We find a new and surprising result that this excess diversification actually …

This book addresses the importance of diversification for reducing volatility of investment portfolios. It shows how to … improve investment efficiency, and explains how international diversification reduces overall risk while enhancing performance …